Re: st: Fixed Effects

[donsaane dontsi <donsaane@yahoo.fr>]

Hi, 
this small article explains you everything you want to know about test. http://dss.princeton.edu/training/Panel101.pdf


this is the test for heteroskedacticity:

 Breusch-Pagan test :

xtreg y x1 x2 ..., fe/re  (régression) 
predict résidus  (récupère les résidus)
gen résidus2 = résidus^2  (génère les résidus carrés) 
reg résidus2 x1 x2 ...  (régression des résidus sur les variables explicatives) 
Sincerely



donsaane


________________________________
De : Amirhossein Moharreri <amir.h.moharreri@gmail.com>
À : statalist@hsphsun2.harvard.edu 
Envoyé le : Dimanche 25 novembre 2012 23h28
Objet : st: Fixed Effects

Dear All;

I've got a problem in estimation of a fixed effects model. I am
estimating a fixed effects panel data model. I would appreciate it if
someone could help me in:
1-how should I test the results for Heteroskedasticity and Serial Correlation.
2- Additionally, I have seen fixed effects GLS (FEGLS) specification
in the book: "Econometric Analysis of Cross Section and Panel Data,
2001, by Jeffrey M. Wooldridge, page 276". Therefore I was wondering
if I could be informed about a command in Stata which could estimate
my model based on this specification.

Thank you all for your help

Best Regards
Amir
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